Pricing Discretely Monitored Barrier Options under Markov Processes through Markov Chain Approximation
Zhenyu Cui and Stephen Taylor
The Journal of Derivatives Spring 2021, 28 (3) 8-33; DOI: https://doi.org/10.3905/jod.2020.1.116
Zhenyu Cui
is an assistant professor of financial engineering at Stevens Institute of Technology in Hoboken, NJ
Stephen Taylor
is an assistant professor of finance at New Jersey Institute of Technology in Newark, NJ
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In this issue
The Journal of Derivatives
Vol. 28, Issue 3
Spring 2021
Pricing Discretely Monitored Barrier Options under Markov Processes through Markov Chain Approximation
Zhenyu Cui, Stephen Taylor
The Journal of Derivatives Feb 2021, 28 (3) 8-33; DOI: 10.3905/jod.2020.1.116